Both my arms are sleeved, and I have a back piece that I haven't finished yet.
It depends on how close the tattoo is to your fingers / toes. The nerves towards your outer extremities are more sensitive (for the sense of touch). So a tattoo on your wrist will likely hurt more than one on your upper arm. Same with top of foot vs calf muscle or thigh. Also, if you have any experience with martial arts, specifically pressure points, your body has bundles of nerves in these places too. So they will be sensitive. (this is good for sex, too -- if you know where pressure points are, you know at least a couple of them are likely to be useful as an erogenous zone).
Another point (that another poster made) dealt with how much tissue you have between the skin and the bone. I find it uncomfortable when the artist is working right over a bony part, like the elbow. But I'm not sure if it's a nerve thing, or just the vibration of the tattoo machine drilling into my brain. Either way, it was unpleasant.
There's a strange beauty in brutalizing yourself for the sake of growth on the other side of the pain. That's what you get into when you're covered with them. The sacrifice is worth it. But anybody who tells you "naw, they don't hurt at all" is a liar or a genetic mutant of some kind. Your upper arm gets numb after a few minutes, and it basically feels like he's just writing on you with an ink pen. But I thought I was going to meet god in the mental travels I took to get away from the pain on my back. Holy hell. But I digress.
Remember two things, and you'll be fine: BREATHE and RELAX. When your body clenches up, it makes things worse. It will make you hold your breath if you're not careful. That also makes it worse. Realize your body is anticipating the pain getting worse, and that's why you recoil. But it's as bad as it's going to get. So just breathe and relax. Having a gatorade and a magazine to read (so you don't get bored) helps too.
The first time I got on a plane, I jumped out of it. Skydiving is a blast. Don't worry about that at all. The anticipation of jumping out of the plane -- it's like the first plunge into the pool. When you're looking out that door and you see the airport 13K feet below you... just jump. And don't let go of the ripcord when you pull it, or you'll have to pay for it. LOL